He complains about 'M' , but I think this is in München , and the actual problematic character is next, umlaut 'ü' .
One easy way to check is to try downloading the file from only the first two lines and see if it works. Then add the third line, try again and see if it worked.
If you cannot or do not want to replace these special characters in your data, you will need to start searching for the character sets configured in the CSV file, database, table, columns, tools, etc.
Are you using MySQL 5.7 or higher? Then try to change something simple to character set utf8mb4 in your load data command.
See How MySQL 5.7 Handles "utf8mb4" and "Load Data" for a similar problem.
See also:
import geonames allCountries.txt into MySQL 5.7 using LOAD INFILE - ERROR 1300 (HY000)
The problem with utf8 characters; I do not see what I kept
"Invalid string value" when trying to insert UTF-8 into MySQL via JDBC?
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